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Kensho stats: Surging yen may keep lid on stocks

A customer hands over Japanese 1,000 yen banknotes while making a purchase at a supermarket in Tokyo.
Kiyoshi Ota | Bloomberg | Getty Images
A customer hands over Japanese 1,000 yen banknotes while making a purchase at a supermarket in Tokyo.

The yen spiked after the Bank of Japan surprised markets by failing to add further monetary stimulus. U.S. investors better be paying attention as this move may have far-reaching effects beyond Asia, determining winning and losing stocks here on these shores.

The Nikkei 225 index closed 3.6 percent lower and the yen was up almost 3 percent against the dollar through Thursday morning.

"The U.S. dollar and yen relationship has been a primary driver of the bull market in equities — as cheap borrowing costs in Japan and a rising dollar have fueled a global carry trade. That trade appears to be unwinding," BKCM's Brian Kelly wrote in note to clients Thursday.

Using Kensho, a hedge fund analytics tool, we looked at what happened to the S&P 500 when the Japanese currency rose by 5 percent or more versus the dollar in 90 days. This kind of increase has occurred nine times since 2006. We also found ETF winners and losers.

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